TY - JOUR
T1 - Some results on measures of interaction between paired risks
AU - Fang, Rui
AU - Li, Xiaohu
N1 - Publisher Copyright:
© 2018 by the authors. Licensee MDPI, Basel, Switzerland.
PY - 2018/9
Y1 - 2018/9
N2 - Co-risk measures and risk contribution measures have been introduced to evaluate the degree of interaction between paired risks in actuarial risk management. This paper attempts to study the ordering behavior of measures on interaction between paired risks. For various co-risk measures and risk contribution measures, we investigate how the marginal distributions and the dependence structure impact on the level of interaction between paired risks. Also, several numerical examples based on Monte Carlo simulation are presented to illustrate the main findings.
AB - Co-risk measures and risk contribution measures have been introduced to evaluate the degree of interaction between paired risks in actuarial risk management. This paper attempts to study the ordering behavior of measures on interaction between paired risks. For various co-risk measures and risk contribution measures, we investigate how the marginal distributions and the dependence structure impact on the level of interaction between paired risks. Also, several numerical examples based on Monte Carlo simulation are presented to illustrate the main findings.
KW - Arrangement increasing
KW - Co-risk measure
KW - Copula
KW - Risk contribution measure
KW - Stochastic orders
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U2 - 10.3390/risks6030088
DO - 10.3390/risks6030088
M3 - Article
AN - SCOPUS:85056703141
VL - 6
JO - Risks
JF - Risks
IS - 3
M1 - 88
ER -